Financial spillovers and spillbacks: New evidence from China and G7 countries

Fang, Yuan; Jing, Zhongbo; Shi, Yukun; Zhao, Yang

doi:10.1016/j.econmod.2020.09.022

Cited by 48 publications

(19 citation statements)

References 25 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…At this stage of the pattern, China’s financial system has entered a new period full of volatility and uncertainty after the long-term accumulation of systemic risks. In keeping with the findings from the research of Fang et al [ 2 ], with the increasing openness of the Chinese economy, Chinese financial markets are becoming more integrated with those of developed markets, and Chinese financial markets are demonstrating a growing impact on global financial markets over time, especially during periods of turbulence.…”

Section: Introductionsupporting

confidence: 67%

A Network Approach to the Study of the Dynamics of Risk Spillover in China’s Bond Market

Liao

Zhang

Guo

et al. 2021

Entropy

View full text Add to dashboard Cite

Since 2018, the bond market has surpassed the stock market, becoming the biggest investment area in China’s security market, and the systemic risks of China’s bond market are of non-negligible importance. Based on daily interest rate data of representative bond categories, this study conducted a dynamic analysis based on generalized vector autoregressive volatility spillover variance decomposition, constructed a complex network, and adopted the minimum spanning tree method to clarify and analyze the risk propagation path between different bond types. It is found that the importance of each bond type is positively correlated with liquidity, transaction volume, and credit rating, and the inter-bank market is the most important market in the entire bond market, while interest rate bonds, bank bonds and urban investment bonds are important varieties with great systemic importance. In addition, the long-term trend of the dynamic spillover index of China’s bond market falls in line with the pace of the interest rate adjustments. To hold the bottom line of preventing financial systemic risks of China’s bond market, standard management, strict supervision, and timely regulation of the bond markets are required, and the structural entropy, as a useful indicator, also should be used in the risk management and monitoring.

show abstract

Section: Introductionsupporting

confidence: 67%

A Network Approach to the Study of the Dynamics of Risk Spillover in China’s Bond Market

Liao

Zhang

Guo

et al. 2021

Entropy

View full text Add to dashboard Cite

show abstract

“…, 2021). Fang et al. (2021) found that the impact of Chinese financial markets become more important on global financial markets over time, especially during periods of turbulences.…”

Section: Literature Reviewmentioning

confidence: 99%

Extreme dependence and risk spillover across G7 and China stock markets before and during the COVID-19 period

Ghorbel

Fakhfekh

Jeribi³

et al. 2022

JRF

View full text Add to dashboard Cite

PurposeThe paper analyzes downside and upside risk spillovers between stock markets of G7 countries and China before and during the COVID-19 pandemic.Design/methodology/approachBy using VAR-ADCC models and conditional value at risk (CoVaR) techniques, downside and upside risk spillovers between stock markets of G7 countries and China are analyzed before and during the COVID-19 pandemic.FindingsThe results suggested existence of a significant and asymmetrical two-way risk transmission between majority of pair markets, but the degree of asymmetry differs according to the use of the entire cumulative distributions or distribution tails. Downside and upside risk spillovers are significantly larger before the COVID-19 pandemic in all cases except between CAC 40/DAX and S&P/SSE pairs.Originality/valueThe paper used CoVaR and delta-CoVaR to investigate the downside and upside spillovers between stock markets of G7 countries and China before and during the COVID-19 pandemic.

show abstract

“…We also employ multivariate copula to model the dependency structure of the East-Asian and the US stock markets. The dependency structures are used to identify risk spillovers ( Adrian & Brunnermeier, 2016 ; Fang et al, 2021 ; Shahzad et al, 2021 ). The robustness of the spillover effect is verified through the bootstrap Kolmogorov-Smirnov (KS) test used by several scholars ( Bernal et al, 2014 ; Reboredo & Ugolini, 2015 ).…”

Section: Introductionmentioning

confidence: 99%

Stock market comovements: Evidence from the COVID-19 pandemic

Zehri

2021

The Journal of Economic Asymmetries

View full text Add to dashboard Cite

The COVID-19 pandemic shock has harmed the US and East Asian stock markets. Focusing on measuring the inherent correlation, this paper employs a GARCH-Copula CoVaR approach to address the debate on the extreme risk spillovers from the US to China, Japan, Hong Kong, and South Korea stock returns. The results show a large spillover effect from the US to East Asian stock markets. Compared to the tranquil period, these spillovers become stronger in the COVID-19 period. The findings show that indirect spillovers on the Chinese stock market are heavier than direct spillovers, and impacts deluge only via Hong Kong. The study contrasts spillover’ features of the US COVID-19 shock and the Chinese 2015 crisis. These findings provide useful support for policymakers and risk managers involved in the East Asian stock markets.

show abstract

Financial spillovers and spillbacks: New evidence from China and G7 countries

Cited by 48 publications

References 25 publications

A Network Approach to the Study of the Dynamics of Risk Spillover in China’s Bond Market

A Network Approach to the Study of the Dynamics of Risk Spillover in China’s Bond Market

Extreme dependence and risk spillover across G7 and China stock markets before and during the COVID-19 period

Stock market comovements: Evidence from the COVID-19 pandemic

Contact Info

Product

Resources

About